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A Representation Theory for a Class of Vector Autoregressive Models for Fractional Processes

This is a preview. Log in through your library . Abstract Based on an idea of Granger (1986. "Oxford Bulletin of Economics and Statistics" 48, 213-228), we analyze a new vector autoregressive model ...
JSTOR Daily

Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models

This paper derives the asymptotic mean square error of multistep prediction for the general vector autoregressive process. For one-step-ahead prediction the result is ...